The 'Monsoon Effect' in Indian Equity Market

28 Pages Posted: 23 Oct 2014 Last revised: 24 Oct 2014

See all articles by Hardik Vachhrajani

Hardik Vachhrajani

Amrita School of Business, Amrita Vishwa Vidyapeetham

Dr.Jay Desai

B.K.School of Business Management, Gujarat University

Kinjal Jay Desai

Corporate Solutions Group, SBI Life Insurance Co. Ltd.

Date Written: October 23, 2014

Abstract

Seasonal variation and calendar anomalies are known phenomena in equity markets worldwide. Many researchers have studied day-of-the-month, day-of-the-week, month-of-the-year, tax loss hypothesis and SAD cycle in equity markets across countries. There has been many evidences of calendar anomalies in Indian equity market. India being a developing country is heavily dependent on monsoon for economic growth. Equity market being lead indicator of economy should be influenced by monsoon in India. This paper attempts to understand the impact of monsoon on Indian equity market. We found in the research that there is significant impact of monsoon on Indian equity market. The post monsoon period is found to have almost double return compared to pre - monsoon period. The pre-monsoon and post monsoon returns are found to be statistically different based on regression analysis.

Keywords: Colander anomalies, Seasonality, efficient market hypothesis, stock trading, market timing, monsoon effect

JEL Classification: C50, C51, C52, G10, G14

Suggested Citation

Vachhrajani, Hardik and Desai, Jay and Desai, Kinjal Jay, The 'Monsoon Effect' in Indian Equity Market (October 23, 2014). Available at SSRN: https://ssrn.com/abstract=2513741 or http://dx.doi.org/10.2139/ssrn.2513741

Hardik Vachhrajani

Amrita School of Business, Amrita Vishwa Vidyapeetham ( email )

AIMS CAMPUS
AIMS (PO)PONEKKARA
Ettimadai, Coimbatore, Tamil Nadu 641105
India

HOME PAGE: http://www.hardikbv.com

Jay Desai (Contact Author)

B.K.School of Business Management, Gujarat University ( email )

Navrangpura
Ahmedabad, Gujarat 380015
India
+91-79-26301342 (Phone)

HOME PAGE: http://www.jaydesai.net

Kinjal Jay Desai

Corporate Solutions Group, SBI Life Insurance Co. Ltd. ( email )

401, Rain Drops Building
Opp.Cargo Motors, C.G.RO
Ahmedabad, Gujarat 380015
India

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